Merge branch 'dev' of https://github.com/vnpy/vnpy into okex.websocket

examples/DataService/CccDataService/config.json

@@ -0,0 +1,10 @@
+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"SYMBOLS": [
+		"BTC/USDT.OKEX",
+		"BTC/USDT.HUOBIPRO",
+		"BTC/USDT.BINANCE"
+	]
+}

examples/DataService/CccDataService/dataService.py

@@ -0,0 +1,106 @@
+# encoding: UTF-8
+
+from __future__ import print_function
+
+import json
+import time
+import datetime
+
+import requests
+from pymongo import MongoClient, ASCENDING
+
+from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
+
+
+# 加载配置
+config = open('config.json')
+setting = json.load(config)
+
+MONGO_HOST = setting['MONGO_HOST']
+MONGO_PORT = setting['MONGO_PORT']
+SYMBOLS = setting['SYMBOLS']
+
+mc = MongoClient(MONGO_HOST, MONGO_PORT)                        # Mongo连接
+db = mc[MINUTE_DB_NAME]                                         # 数据库
+
+
+#----------------------------------------------------------------------
+def generateVtBar(vtSymbol, d):
+    """生成K线"""
+    bar = VtBarData()
+    bar.vtSymbol = vtSymbol
+    bar.symbol, bar.exchange = bar.vtSymbol.split('.')
+    
+    bar.datetime = datetime.datetime.fromtimestamp(d['time'])
+    bar.date = bar.datetime.strftime('%Y%m%d')
+    bar.time = bar.datetime.strftime('%H:%M:%S')
+    
+    bar.open = d['open']
+    bar.high = d['high']
+    bar.low = d['low']
+    bar.close = d['close']
+    bar.volume = d['volumeto']
+    
+    return bar
+
+#----------------------------------------------------------------------
+def downloadMinuteBarBySymbol(vtSymbol, end):
+    """下载某一合约的分钟线数据"""
+    end = datetime.datetime.strptime(end, '%Y%m%d')
+    startTime = time.time()
+    
+    cl = db[vtSymbol]                                                 
+    cl.ensure_index([('datetime', ASCENDING)], unique=True)         
+    
+    symbol, exchange = vtSymbol.split('.')
+    fsym, tsym = symbol.split('/')
+    
+    url = 'https://min-api.cryptocompare.com/data/histominute'
+    params = {
+        'fsym': fsym,
+        'tsym': tsym,
+        'e': exchange,
+        'toTs': int(time.mktime(end.timetuple()))
+    }
+    resp = requests.get(url, headers={}, params=params)
+    
+    if resp.status_code != 200:
+        print(u'%s数据下载失败' %vtSymbol)
+        return
+    
+    j = resp.json()
+    l = j['Data']
+    
+    for d in l:
+        bar = generateVtBar(vtSymbol, d)
+        d = bar.__dict__
+        flt = {'datetime': bar.datetime}
+        cl.replace_one(flt, d, True)
+        
+    endTime = time.time()
+    cost = (endTime - startTime) * 1000
+    
+    
+    print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(vtSymbol, 
+                                                    datetime.datetime.fromtimestamp(l[0]['time']),
+                                                    datetime.datetime.fromtimestamp(l[-1]['time']), 
+                                                    cost))
+
+#----------------------------------------------------------------------
+def downloadAllMinuteBar(end):
+    """下载所有配置中的合约的分钟线数据"""
+    print('-' * 50)
+    print(u'开始下载合约分钟线数据')
+    print('-' * 50)
+    
+    for symbol in SYMBOLS:
+        downloadMinuteBarBySymbol(symbol, end)
+        time.sleep(1)
+
+    print('-' * 50)
+    print(u'合约分钟线数据下载完成')
+    print('-' * 50)
+
+
+    

examples/DataService/CccDataService/downloadData.py

@@ -0,0 +1,14 @@
+# encoding: UTF-8
+
+"""
+立即下载数据到数据库中，用于手动执行更新操作。
+"""
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    #downMinuteBarBySymbol('BTC/USDT.OKEX', '20181012')
+    #downMinuteBarBySymbol('BTC/USDT.HUOBIPRO', '20181012')
+    #downMinuteBarBySymbol('BTC/USDT.BINANCE', '20181012')
+    downloadAllMinuteBar('20181012')

examples/DataService/CoinapiDataService/dataService.py

@@ -31,10 +31,11 @@ headers = {'X-CoinAPI-Key': APIKEY}
 #----------------------------------------------------------------------
 def generateVtBar(symbol, d):
     """生成K线"""
+    l = symbol.split('_')
     bar = VtBarData()
-    
-    bar.symbol = symbol
-    bar.vtSymbol = symbol
+    bar.symbol = l[-2] + l[-1]
+    bar.exchange = l[0]
+    bar.vtSymbol = '/'.join([bar.symbol, bar.exchange])
     bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z')
     bar.date = bar.datetime.strftime('%Y%m%d')
     bar.time = bar.datetime.strftime('%H:%M:%S')

examples/DataService/CoinapiDataService/runService.py

@@ -0,0 +1,33 @@
+# encoding: UTF-8
+
+"""
+定时服务，可无人值守运行，实现每日自动下载更新历史行情数据到数据库中。
+"""
+from __future__ import print_function
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    taskCompletedDate = None
+    
+    taskTime = datetime.time(hour=22, minute=0)
+    
+    # 进入主循环
+    while True:
+        t = datetime.datetime.now()
+        
+        # 每天到达任务下载时间后，执行数据下载的操作
+        if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
+            end = t.strftime('%Y%m%d')
+            start = (t - datetime.timedelta(1)).strftime('%Y%m%d')
+            
+            # 下载过去24小时的K线数据
+            downloadAllMinuteBar(start, end)
+            
+            # 更新任务完成的日期
+            taskCompletedDate = t.date()
+        else:
+            print(u'当前时间%s，任务定时%s' %(t, taskTime))
+    
+        time.sleep(60)

examples/DataService/README.md

@@ -0,0 +1,11 @@
+# DataService说明
+
+* ShcifcoDataService：上海中期历史行情服务（期货）
+
+* TqDataService：天勤历史行情服务（期货）
+
+* TushareDataService：TuShare历史行情服务（A股）
+
+* FutuDataService：富途证券历史行情服务（美股、港股）
+
+* CoinapiDataService：CoinAPI.io历史行情服务（数字货币）

examples/README.md

@@ -20,12 +20,4 @@
 
 * ServerClient：服务端（业务逻辑）和客户端（GUI界面）分离的VnTrader
 
-* ShcifcoDataService：上海中期历史行情服务（期货）
-
-* TqDataService：天勤历史行情服务（期货）
-
-* TushareDataService：TuShare历史行情服务（A股）
-
-* FutuDataService：富途证券历史行情服务（美股、港股）
-
-* CoinapiDataService：CoinAPI.io历史行情服务（数字货币）
+* DataService：用于下载历史行情数据以及每日数据自动更新的数据服务

vnpy/api/okex/vnokex.py

@@ -111,7 +111,8 @@ class OkexApi(object):
         if not self.reconnecting:
             self.reconnecting = True
             
-            self.closeWebsocket()   # 首先关闭之前的连接
+            self.closeWebsocket()           # 首先关闭之前的连接
+            self.heartbeatReceived = True   # 将心跳状态设为正常
             self.initWebsocket()
         
             self.reconnecting = False

vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py

@@ -7,6 +7,7 @@ from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
                                     OFFSET_OPEN, OFFSET_CLOSE,
                                     STATUS_ALLTRADED, STATUS_CANCELLED,
                                     STATUS_REJECTED)
+
 from vnpy.trader.uiQt import QtGui
 
 from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
@@ -157,7 +158,7 @@ class ArbitrageAlgo(AlgoTemplate):
                                             tick.bidPrice5,
                                             volume)
         elif self.netPos < 0:
-            self.passiveOrderID = self.buy(self.activeVtSymbol,
+            self.passiveOrderID = self.buy(self.passiveVtSymbol,
                                            tick.askPrice5,
                                            volume)
 

vnpy/trader/gateway/bitmexGateway/bitmexGateway.py

@@ -198,6 +198,11 @@ class RestApi(BitmexRestApi):
             'orderQty': orderReq.volume,
             'clOrdID': str(orderId)
         }
+        
+        # 市价单不能有price字段
+        if orderReq.priceType == PRICETYPE_MARKETPRICE:
+            req.pop('price')
+        
         self.addReq('POST', '/order', self.onSendOrder, postdict=req)
         
         return vtOrderID

vnpy/trader/vtEngine.py

@@ -113,9 +113,6 @@ class MainEngine(object):
         
         if gateway:
             gateway.connect()
-            
-            # 接口连接后自动执行数据库连接的任务
-            self.dbConnect()        
    
     #----------------------------------------------------------------------
     def subscribe(self, subscribeReq, gatewayName):